Mac App Store [-] Apple put a lot of effort into making the iOS App Store a destination place with stories highlighting a game or genre and fairly good discoverability of new games and classics. None of that in the Mac App Store, though part of it is there is a lack of games (though I guess growing now that developers can port iOS games to Mac more easily). Still, you can't tell when games are for sale so prices seem rather high.

Epic Games Store [/] On the plus side one or two free games every Thursday. On the minus side not as many games as Steam and often they don't have the Mac version. I haven't really used the Epic Games Client other than trying to use it with CrossOver where it didn't work. Overall I feel it has a long way to go to catch up with Steam.

Steam [+] The biggest selection and if there is Mac version often has it. Lots of sales and with their key policy lots of other sites (including Humble Bundle) sell Steam games. Discoverability is fairly good and you can set preference to only show Mac games (though only in the list views, not main page promo section). Steam Client is good at installing but I don't like that many games need to have Client running for various features (or maybe Steam requires it).

GOG [+] Almost forgot GOG. A good selection of games and they have lots of old games (running on DOSBox and the like) which the other stores do not. Mac games selection is better than Epic and there's no DRM. You can download the installers and then install without GOG which I don't think you can do with any of the other stores. The store itself not as polished as Steam (and not overly busy like Steam) and although they have a client app for installing and keeping track of your games I've never had to use it.